Comparing density forecasts using threshold- and quantile-weighted scoring rules
We propose a method for comparing density forecasts that is based on weighted versions of the continuous ranked probability score. The weighting emphasizes regions of interest, such as the tails or the center of a variable’s range, while retaining propriety, as opposed to a recently developed weight...
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| Main Authors: | , |
|---|---|
| Format: | Article (Journal) |
| Language: | English |
| Published: |
2011
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| In: |
Journal of business & economic statistics
Year: 2011, Volume: 29, Issue: 3, Pages: 411-422 |
| ISSN: | 1537-2707 |
| DOI: | 10.1198/jbes.2010.08110 |
| Online Access: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1198/jbes.2010.08110 Verlag, lizenzpflichtig, Volltext: https://www.tandfonline.com/doi/abs/10.1198/jbes.2010.08110 
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| Author Notes: | Tilmann Gneiting, Roopesh Ranjan |
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